We introduce the notion of locally identifying coloring of a graph. A proper vertex-coloring c of a graph G is said to be locally identifying, if for any adjacent vertices u and v with distinct closed neighborhood, the sets of colors that appear in the closed neighborhood of u and v are distinct. Let $\chi_{lid}(G)$ be the minimum number of colors used in a locally identifying vertex-coloring of G. In this paper, we give several bounds on $\chi_{lid}$ for different families of graphs (planar graphs, some subclasses of perfect graphs, graphs with bounded maximum degree) and prove that deciding whether $\chi_{lid}(G)=3$ for a subcubic bipartite graph $G$ with large girth is an NP-complete problem.